EC309
Econometric Theory
This information is for the 2022/23 session.
Teacher responsible
Prof Taisuke Otsu 32L 4.25
Prof Javier Hidalgo 32L.4.20
Availability
This course is available on the BSc in Econometrics and Mathematical Economics and BSc in Mathematics and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.
Pre-requisites
Students must have completed Principles of Econometrics (EC221).
A good knowledge of linear algebra, calculus and statistical theory is essential, so MA100 and either ST102 or ST109 in combination with EC1C1, or equivalent, are required. Students taking this course who are not on the BSc Econometrics and Mathematical Economics or BSc Mathematics and Economics should consult with Prof Otsu before selecting this course
Course content
Introduction to asymptotic theory; Method of moments; Hypothesis testing and confidence intervals; Asymptotic theory for linear OLS, instrumental variables, and generalized method of moments (GMM) estimators; Nonparametric density estimation and regression; General large sample theory; Estimation and inference of nonlinear models (Maximum likelihood, Nonlinear Least Squares, GMM); General hypothesis testing and model specification; Systems of equations; Time series analysis and dynamic models.
Teaching
15 hours of lectures and 10 hours of classes in the MT. 15 hours of lectures and 9 hours of classes in the LT. 1 hour of classes in the ST.
There will be a reading week in Week 6 of LT (no lectures or classes that week).
This course is delivered through a combination of classes and lectures totalling a minimum of 50 hours across Michaelmas Term and Lent Term.
Formative coursework
Written answers to set problems will be expected on a weekly basis. Students are also expected to make positive contributions to class discussions.
Indicative reading
The main texts for the lectures are Bruce Hansen’s lecture notes (downloadable at https://www.ssc.wisc.edu/~bhansen/econometrics/) for MT, and Davidson & MacKinnon (2004) Econometric Theory and Methods, Oxford University Press for LT. Other useful texts include Davidson (2000) Econometric Theory, Amemiya (1985) Advanced Econometrics, and Hayashi (2000) Econometrics.
Assessment
Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.
Key facts
Department: Economics
Total students 2021/22: 8
Average class size 2021/22: 8
Capped 2021/22: No
Lecture capture used 2021/22: Yes (MT)
Value: One Unit
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Self-management
- Problem solving
- Application of numeracy skills
